7. A stock is currenly trading at 80. There are one-month calls and puts on the stock with strike prices of 70, 75, 80, 85, and 90. The price and delta of each of these options is given below:
| Strike | 70 | 75 | 80 | 85 | 90 |
| Call Price | 10.60 | 6.47 | 3.39 | 1.50 | 0.56 |
| Put Price | 0.30 | 1.15 | 3.05 | 6.14 | 10.18 |
| Call ∆ | 0.92 | 0.77 | 0.54 | 0.31 | 0.14 |
| Put ∆ | -0.08 | -0.23 | -0.46 | -0.69 | -0.86 |
For each of the following portfolios, identify (i) the current value of the portfolio, and (ii) the approximate value of the portfolio following a $1 decrease in the stock price.
(a) Long 100 units of stock, short 100 units of the 80-strike call.
(b) Long 1000 units of the 80-strike call and 1174 units of the 80-strike put.
(c) Long 100 units of stock, long 100 units of the 75-strike put, and short 100 units of the 85-strike call.
(d) Long 100 units of the 70-strike call, long 100 units of the 90-strike call, and short 200 units of the 80-strike call.
(e) Long 100 units of the 85-strike put and short 100 units of the 75-strike put.
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